S&P/TSX Composite Index

S&P/TSX Composite closed down by -0.18% to 20110.0 on 23 January 2021 and +-0.45% on a weekly basis. S&P/TSX Composite momentum was last calculated at +0.0/100 indicating positive momentum. S&P/TSX Composite trend is +75.0/100 indicating a positive trend. S&P/TSX Composite momentum exhaustion is 1.04503 indicating S&P/TSX Composite is oversold.S&P/TSX Composite RSI is 53.0961 .

S&P/TSX Composite Index Chart

S&P/TSX Composite Index

S&P/TSX Composite Index Statistics

MacroVar multi-factor statistical models monitor financial factors which are used to analyze and predict the S&P/TSX Composite. Click here to explore the financial factors monitored and their current signals.

Click here to explore the methodology used for estimating the S&P/TSX Composite trading signals presented in the S&P/TSX Composite statistics table.

Security Symbol Last Momentum Trend Oscillator RSI 1D% 1W% 1M% 1Y%
S&P/TSX Composite TSE 20110 0 0.75 1.04503 53.0961 -0.18 -0.45 4.9 0.02168

S&P/TSX Composite closed at 20110.0 on 23 January 2021. S&P/TSX Composite trend was last calculated at +75.0/100 (range: -100 to +100) indicating a positive trend based on MacroVar models. S&P/TSX Composite momentum was last calculated at +0.0/100 (range: -100 to +100) indicating positive momentum. S&P/TSX Composite momentum exhaustion is 1.04503 (normal range: -2.5 to +2.5, overbought values: greater than 2.5, oversold values: less than 2.5) indicating S&P/TSX Composite is oversold and a possible reversal is imminent. S&P/TSX Composite RSI was last calculated at 53.0961. S&P/TSX Composite moving averages were last recorded as follows: 1-month moving average: 17532.1 in an uptrend , 1-quarter moving average: 16858.7 in an uptrend and 1-year moving average: 16016.6 in an uptrend. S&P/TSX Composite annual return was last recorded at None%, daily return was last recorded at -0.18%, and weekly return was last recorded at -0.45%. S&P/TSX Composite histrorical 20-day volatility was last recorded at 7.39528%, S&P/TSX Composite alpha None, S&P/TSX Composite beta None and S&P/TSX Composite maximum drawdown was recorded at None%. MacroVar models monitor S&P/TSX Composite statistics based on historical data since 1970.

S&P/TSX Composite Index News

S&P/TSX Composite Factors

S&P/TSX Composite

Factor Symbol Last Value Predicted Value R2 MacroVar Signal
Canada PMI vs Stocks CA.FACT.STPMI 15696.9 54.5123 -1.72784

S&P/TSX Composite related Indicators

S&P/TSX Composite

Security Type Symbol Last Momentum Trend Oscillator RSI 1D% 1W% 1M% 1Y%
Canada ETF Stock Index ETF EWC 36.75 1 1 1.46073 64.0678 -0.46 -2.23 3.84 0.05137
Canada PMI vs Stocks Stock Index vs PMI Factor CA.FACT.STPMI 15696.9

Canada Markets

Market Symbol Last Mom Trend Exh RSI 1D% 1W% 1M% 1Y%
S&P/TSX Composite TSE 20110 0 0.75 1.04503 53.0961 -0.18 -0.45 4.9 0.02168
Canada ETF EWC 36.75 1 1 1.46073 64.0678 -0.46 -2.23 3.84 0.05137
Canadian Dollar US Dollar (CAD/USD) CADUSD 1.26 -1 -1 -1.6968 36.9602 0.73 2.37 2.32 -0.02377
Canada 10-Year Bond Yield CA.10Y 1.22 -0.5 -0.25 -0.24481 42.0376 -5.79 -14.14 -20.31 -0.55997
Canada 5-Year Bond Yield CA.5Y 0.81 -0.5 -0.5 -0.54129 34.4957 -11.09 -14.74 -14.74 -0.7685
Canada 2-year bond yield CA.2Y 0.48 -1 -1 -0.68963 31.5507 5.49 11.63 47.69 -0.87739
Canada Yield Curve CA.YC 0.75 0 0.75 1.33408 52.2334 -10.71 -24.32 -37.81 -6.34831
Canada Credit Default Swaps CDS.Canada 37.8 -0.5 0.5 1.80113 61.3233 0 0 -0.26 0.10909

Canada Economic Indicators

Indicator Actual Previous M/M% Y/Y% Trend Slope ZS5Y Update
balance of trade -1390 462 -4.00866 -0.22902 1.0 1.0 0.45 2021-05-31
bank lending rate 2.45 2.45 0 -0.379747 -1.0 -1.0 0.025 2020-05-30
banks balance sheet 7096120 7053360 0.00606236 0.1325 1.0 1.0 0.916667 2020-09-30
building permits 11107200 11162400 -0.00494517 0.801996 1.0 1.0 1 2021-04-30
business confidence 71.9 64.7 0.111283 0.235395 1.0 1.0 0.933333 2021-06-30
capacity utilization 81.7 79.7 0.0250941 -0.0203837 1.0 -1.0 0.366667 2021-01-31
capital flows -38 -48 -0.208333 1.71429 1.0 -1.0 0.766667 2021-01-01
car registrations 151912 166709 -0.0887595 0.39148 1.0 1.0 0.966667 2021-05-31
central bank balance sheet 476713 476164 0.00115296 0.0134614 -1.0 1.0 0.0166667 2021-05-31
consumer confidence 55.7 51.49 0.0817634 0.263325 1.0 1.0 0.966667 2021-07-31
consumer price index cpi 141 140.3 0.00498931 0.0360029 1.0 1.0 1 2021-05-31
core inflation rate 2.8 2.3 0.217391 3 1.0 1.0 1 2021-05-31
current account 1180 -7261 -1.16251 -1.08033 1.0 1.0 0.216667 2021-01-01
current account to gdp -1.9 -2.1 -0.0952381 -5.75 1.0 -1.0 0 2019-02-28
deposit interest rate 0.16 0.16 0 0.333333 1.0 1.0 0.716667 2021-05-28
exports 49530 50333.4 -0.0159616 0.456542 1.0 1.0 0.983333 2021-05-31
external debt 3036230 3147440 -0.0353335 0.211401 1.0 1.0 0.3 2021-01-31
fiscal expenditure 64021 42170 0.518165 0.683877 1.0 1.0 0.9 2021-03-31
foreign direct investment 19620 2482 6.90492 0.19503 1.0 1.0 0.6 2021-01-01
foreign exchange reserves 89053 89205 -0.00170394 0.020349 1.0 1.0 0.483333 2021-06-30
gdp 1736.43 1716.26 0.0117523 0.185293 1.0 1.0 0 2019-01-31
Real GDP 2077770 2045920 0.0155676 0.015786 1.0 1.0 0.183333 2021-01-01
gdp growth 1.4 2.2 -0.363636 1 1.0 1.0 0.841667 2021-01-01
gdp growth annual 0.3 -3.2 -1.09375 -0.884615 1.0 -1.0 0.266667 2021-01-01
gdp growth annualized 5.6 9.3 -0.397849 1.15385 1.0 1.0 0.85 2021-01-01
gold reserves 1.7 3 -0.433333 -0.5 -1.0 -1.0 0 2015-10-01
government budget -15.9 -1.5 9.6 -27.5 -1.0 -1.0 0 2019-02-28
Government budget -31440 -14370 1.18789 1.12519 -1.0 -1.0 0.833333 2021-03-31
government debt to gdp 117.8 86.8 0.357143 0.732353 1.0 1.0 0 2020-01-31
government revenues 34517 29177 0.183021 0.338387 1.0 1.0 1 2021-03-31
housing index 116 114.4 0.013986 0.113244 1.0 1.0 1 2021-05-31
housing starts 282.07 286.296 -0.0147609 0.330695 1.0 1.0 0.9 2021-06-30
imports 50916.2 49871 0.0209581 0.421919 1.0 1.0 1 2021-05-31
industrial production 1.83 -4.58 -1.39956 -1.32162 1.0 1.0 0.4 2021-03-31
industrial production mom 0.7 -1.5 -1.46667 -1.12963 1.0 1.0 0.5 2021-03-31
inflation cpi 3.6 3.4 0.0588235 -10 1.0 1.0 0.0333333 2021-05-31
interbank rate 0.44 0.44 0 0 1.0 -1.0 0.6 2021-06-01
interest rate 0.25 0.25 0 -0.857143 -1.0 -1.0 0.025 2021-01-20
loans to private sector 456553 470238 -0.0291023 -0.152413 -1.0 -1.0 0.0166667 2021-04-30
manufacturing pmi 56.5 57 -0.00877193 0.182008 1.0 1.0 0.95 2021-06-30
money supply m0 496802 494586 0.00448052 3.77754 1.0 1.0 0.983333 2021-03-31
money supply m1 1500000 1460600 0.0269752 0.264734 1.0 1.0 0.866667 2021-04-30
money supply m2 2199730 2182620 0.0078392 0.14678 1.0 1.0 0.833333 2021-04-30
money supply m3 2944240 2966080 -0.00736325 0.0452577 1.0 1.0 0.233333 2021-04-30
Producer Price Index 113.9 114.4 -0.00437063 0.162245 1.0 1.0 0.983333 2021-06-30
PPI Index 386917 382315 0.0120372 0.0517736 1.0 1.0 0.85 2021-05-31
retail sales MoM -5.7 3.6 -2.58333 -0.770161 -1.0 1.0 0.666667 2021-04-30
retail sales 56.7 24.7 1.29555 -2.78302 1.0 1.0 0.1 2021-04-30
retail sales ex autos -7.2 4.3 -2.67442 -0.652174 -1.0 1.0 0.666667 2021-04-30
unemployment rate 7.8 8.2 -0.0487805 -0.365854 -1.0 -1.0 0.05 2021-06-30
youth unemployment rate 13.6 15.9 -0.144654 -0.50365 -1.0 -1.0 0.0166667 2021-06-30

S&P/TSX Composite Trading Signals


MacroVar estimates the following signals: S&P/TSX Composite momentum, S&P/TSX Composite trend, S&P/TSX Composite oscillator, S&P/TSX Composite RSI and S&P/TSX Composite returns.

S&P/TSX Composite Momentum

Momentum trading is used to capture moves in shorter timeframes than trends. Momentum is the relative change occurring in markets. Relative change is different to a trend. A long-term trend can be up but the short-term momentum of a specific market can be 0. If a market moves down and then moves up and then moves back down the net relative change in price is 0. That means momentum is 0. A short-term positive momentum, with a long-term downtrend results in markets with no momentum.

MacroVarS&P/TSX Composite momentum signal ranges from -100 to +100. The S&P/TSX Composite momentum signal is derived as the mean value from 4 calculations for the S&P/TSX Composite. The timeframes monitored are the following: 1 Day (1 trading day), 1 Week (5 trading days), 1 Month (20 trading days), 3 Months (60 trading days)
For each timeframe, the following calculations are performed: 1. S&P/TSX Composite return is calculated for the specific timeframe and 2. if the return calculated is higher than 0, signal value output is 1 else signal value is -1. S&P/TSX momentum signal is the aggregate of the the 4 values. A technical momentum rollover is identified when S&P/TSX Composite momentum signal moves from positive to negative value or vice-versa.

S&P/TSX Composite trend

S&P/TSX Composite trend signal ranges from -100 to +100. S&P/TSX Composite trend indicator is the mean value of the 8 calculations described below. The timeframes monitored are the following: 1-month (20 trading days), 3-months (60 trading days), 6-months (125 trading days), 1-year (250 trading days)
For each timeframe, the following calculations are performed: 1. S&P/TSX Composite Closing price vs S&P/TSX Composite moving average (MA) calculation: If S&P/TSX Composite is greater than S&P/TSX Composite MA value is +1, else -1, 2. S&P/TSX Composite Moving average slope calculation: if current S&P/TSX Composite moving average is higher than the previous MA, S&P/TSX Composite upward slope +1, else -1
S&P/TSX Composite trend model can be used as a trend strength indicator. S&P/TSX Composite trend strength values ranging between +75 and +100 or -75 and -100 show strong trend strength.
A technical trend rollover is identified when S&P/TSX Composite trend strength indicator moves from positive to negative value or vice-versa.

The most important trend indicator
The S&P/TSX Composite 52-week simple moving average and its slope are the most important indicators defining a market’s trend. S&P/TSX Composite is in an uptrend when S&P/TSX Composite price is higher than the 52-week moving average and the S&P/TSX Composite 52-week moving average has an upward slope. If fundamentals of the market have not changed and the moving average slope is still in uptrend, a price drop signifies a market correction and not a change of trend. Traders should watch oscillators like the S&P/TSX Composite oscillator and S&P/TSX Composite RSI to buy the dip and still follow the trend. The moving average slope turn signifies a change of trend.

S&P/TSX Composite oscillator

The S&P/TSX Composite oscillator estimated by MacroVar is the z-score of the current S&P/TSX Composite price versus S&P/TSX Composite 1-year simple moving average price. The formula for the S&P/TSX Composite oscillator is:
S&P/TSX Composite oscillator = (Current Price – 250 trading days S&P/TSX Composite simple moving average price) / (250 days S&P/TSX Composite price standard deviation)

S&P/TSX Composite oversold conditions
S&P/TSX Composite is oversold when it is subject to a persistent downward pressure due to extreme fund outflows. When the S&P/TSX Composite is oversold it is often due for a rebound. Values of the S&P/TSX Composite oscillator lower than -2.5 signify oversold conditions. It must be noted that the S&P/TSX Composite oscillator must be analyzed ibn conjunction with the rest of S&P/TSX Composite quantitative factors. Traders should pay less attention to overbought or oversold conditions during strong trends. They should pay close attention during counter trends and all combined with the S&P/TSX Composite RSI.
S&P/TSX Composite overbought conditions
S&P/TSX Composite is overbought when it is subject to a persistent upward pressure due to extreme fund inflows. When the S&P/TSX Composite is overbought it is often due for a correction. Values of the S&P/TSX Composite oscillator higher than +2.5 signify overbought conditions. It must be noted that the MacroVar oscillator must be compared to the rest of the S&P/TSX Composite quantitative factors. Traders should pay less attention to overbought or oversold conditions during strong trends. They should pay close attention during counter trends and all combined with the RSI.

S&P/TSX Composite RSI indicator

The RSI indicator measures the speed and change of price movements. The RSI indicator oscillates between 0 and 100. RSI is a useful indicator during normal trending market conditions when an asset price oscillates around its trend value. During big moves and strong trends however, like short squeezes or price spikes RSI and other oscillators don’t work.
During normal trend market conditions and when S&P/TSX Composite is in a downtrend RSI values between 50-60 signify overbought conditions before the downtrend is ready to resume. During S&P/TSX Composite uptrend, RSI values of 40 to 50 signify oversold conditions before the uptrend is ready to resume. It is strongly not recommended to enter a position when the RSI is “overbought” and falling or vice versa.

S&P/TSX Composite returns

MacroVar calculates S&P/TSX Composite returns for the following timeframes: Daily, Weekly, Monthly, Yearly. The formula for calculating returns is:

S&P/TSX Composite returns = (S&P/TSX Composite Closing Price – S&P/TSX Composite Previous Price)/(S&P/TSX Composite Previous Price)
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